When I go to the font menu in the text tool, the
fonts are listed in alphabetical order.

When I go to Options>Data Check>Swap One
Font For Another, the list is not continuous. It is as
if you took several alphabetical lists, and ran them
sequentially.

The list of fonts starts with Maestro, then shows
my numbered fonts (26 Helvetica Ultralight Italic,
36 Helvetica Thin Italic, etc.), then the
alphabetical list (I have ATR active, but it shows
bold Helvetica as B Helvetica Bold, and it's
grouped with the "B" fonts) down to the Times
family, then there are another set of fonts. They
start with the fonts it skipped (Acoustic, the
Engraver fonts, the Jazz fonts, Symbol, Zapf
Dingbats, to name a few).

Is this by design, or do I have a software problem?
It would be a lot more convenient to be able to find
the font I'm looking to replace by typing the first
letter, and then scrolling to the right one. Instead, I
have to look over the whole list to see where the
font is.

While looking for an answer, I discovered that the
Sibelius font Opus causes Finale's list to show
differently in the find/change field, but I don't know
why.

No, you don't have a software problem. This is how fonts are listed i Finale's Type Style dialog box, which appears any time you click a "Set Font..." button anywhere in Finale. ATR and other font menu utilities only work in MENUS, not in dialog boxes.

You can find the font you are looking for if you know how the fonts are ordered:

1. In the top of the list is your document's Default Music Font (Maestro in this particular document). But if you set the Opus font as the Default Music Font, you will find Opus in the top of the list.

2. The text fonts are ordered alphabetically below the Default Music Font. In alphabetical ordering numbers come before letters.

3. The symbol fonts (= music fonts and dingbat fonts) are ordered alphabetically below the text fonts. The document's Default Music Font (Maestro) also appears here. In Other Words: The Default Music Font appears twice in the list.